mcl models, percentages
--- Thomas Lumley <tlumley at u.washington.edu> wrote:
On Wed, 14 May 2003, John Hendrickx wrote:
A caveat is that "clogit" in R doesn't produce the same estimates
as
"multilog", although the likelihood functions for both models are
the
same. The maximum absolute difference is 0.0034, the mean
absolute
difference is 0.00069. Stata's "clogit" and "mlogit" produce the
same
estimates and match those of "multilog" to at least 6 decimal
points
accuracy. See the notes in http://www.xs4all.nl/~jhckx/R/mcl.html
Can
anyone shed any light on this?
Two possibilities 1/ not having converged far enough: the convergence tolerance for coxph is by default only 1e-4 (yes, I should change it) 2/ Weights. In one of your examples you have frequency weights passed to clogit. This doesn't work (at least, it isn't equivalent to passing in the expanded data) because weighting doesn't make coxph compute the full set of permutations that you need for the likelihood in a large stratum.
It appears to be the convergence tolerance. It's not just the weights, the problem occurs for the logan data as well. Specifying "eps=1e-9" in coxph produces the estimates found in other programs. Could you specify a lower default value for eps? It would also be useful to add options in "clogit" for eps and weights. John Hendrickx